Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0139 |
| Annualized Std Dev | 0.1705 |
| Annualized Sharpe (Rf=0%) | -0.0814 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4671.0000 |
| NAs | 1.0000 |
| Minimum | -0.1101 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0042 |
| Maximum | 0.2549 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0107 |
| Skewness | 2.1258 |
| Kurtosis | 85.4117 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0075 |
| Gain Deviation | 0.0090 |
| Loss Deviation | 0.0090 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0075 |
| Downside Deviation (0%) | 0.0075 |
| Maximum Drawdown | 0.5984 |
| Historical VaR (95%) | -0.0132 |
| Historical ES (95%) | -0.0248 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-21 | 2008-12-16 | NA | -0.5984 | 3484 | 399 | NA |
| 2002-09-18 | 2004-05-13 | 2006-12-04 | -0.1783 | 1062 | 417 | 645 |
| 2007-02-16 | 2007-02-22 | 2007-03-08 | -0.0280 | 14 | 4 | 10 |
| 2007-04-10 | 2007-04-23 | 2007-05-09 | -0.0173 | 22 | 10 | 12 |
| 2006-12-05 | 2006-12-14 | 2006-12-27 | -0.0119 | 16 | 8 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | 0 | 0.5 | 0.7 | -0.9 | -0.8 | -0.5 |
| 2003 | -0.2 | 0.6 | 0.5 | 0.5 | -0.4 | 0.6 | 0.2 | 0.9 | 1 | 0.3 | -0.9 | 0.7 | 3.9 |
| 2004 | -0.1 | -0.3 | -0.1 | 1.3 | 0.5 | 1.2 | 0.8 | 0 | -0.5 | -0.1 | 0.1 | 0.3 | 2.9 |
| 2005 | 0.3 | -0.2 | 0.3 | 0.5 | 0.2 | -1.3 | -0.2 | 0.4 | 0 | -0.3 | 0.1 | 0.1 | -0.1 |
| 2006 | -0.1 | -0.1 | 0.3 | 0.3 | -0.6 | 0.6 | 0 | 0.3 | 0.3 | -0.3 | 0.3 | 0.6 | 1.7 |
| 2007 | 0.1 | -0.1 | 0 | -0.1 | 0.5 | 0.4 | 0.3 | 0.8 | 0.5 | -0.4 | 0.4 | -0.8 | 1.6 |
| 2008 | -0.5 | -3 | 1 | -0.5 | 0.1 | 0.5 | 1.5 | 0.4 | 1.9 | 3.3 | -1.2 | 0.9 | 4.3 |
| 2009 | 2 | 2.6 | 1.5 | -0.7 | -1.4 | -0.1 | 1.2 | -0.6 | 0.8 | -0.5 | -0.3 | 0.6 | 5.1 |
| 2010 | 1.3 | 0 | -0.2 | -1 | 0.4 | 1.2 | 0.4 | -0.7 | -0.8 | -1.1 | -2.3 | 3.7 | 0.9 |
| 2011 | -1.2 | -0.2 | 0.9 | -0.6 | -1 | 0.1 | 1.5 | -0.8 | -0.2 | -1.6 | -0.6 | -0.2 | -3.9 |
| 2012 | -0.4 | -0.4 | 0.2 | 0.1 | -0.3 | 0 | -0.3 | -0.6 | 0.3 | 0 | -0.2 | 0.5 | -1.1 |
| 2013 | 0.7 | 0.2 | -0.2 | 1.3 | -2.6 | -0.4 | -1.1 | -1 | 0.2 | -0.4 | -0.5 | -0.1 | -3.9 |
| 2014 | 0.1 | 0.1 | -0.4 | 0.5 | -1.1 | -0.3 | 0 | -0.8 | 0.4 | -0.1 | 0.6 | 0.5 | -0.3 |
| 2015 | 0 | 0.7 | 0.4 | 0.3 | 1.1 | 0.4 | 1.1 | -0.4 | 0.4 | 0.8 | 0.8 | 0.1 | 5.9 |
| 2016 | 0.7 | -0.6 | -0.2 | -0.2 | 1.2 | 0.6 | -1.5 | 0.7 | -1.7 | -0.8 | -1.1 | 0.5 | -2.5 |
| 2017 | -0.3 | -0.5 | 0.1 | -0.2 | 0.2 | -0.4 | -0.3 | -0.9 | -0.4 | 0.2 | -0.9 | 0.2 | -3.2 |
| 2018 | -0.4 | -0.3 | -0.3 | 0.1 | 0 | 0.4 | 0 | 0 | 0.1 | 0.2 | -0.2 | 0.4 | 0.1 |
| 2019 | 0.3 | 0.3 | 0.7 | 0.2 | 0.4 | 0.2 | 0.5 | -0.1 | 0.4 | -0.4 | 0.1 | 0.4 | 2.9 |
| 2020 | -0.1 | -1.6 | -3.7 | -0.1 | 0.8 | -0.4 | 0.1 | 0.3 | 0.6 | -1.4 | 0.2 | 0.3 | -4.9 |
| 2021 | 0 | 0.3 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
